The relationship between the improvement on the point estimation and the improvement on the interval estimation for the disturbance variance in a linear regression model |
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| Authors: | Yasushi Nagata |
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| Affiliation: | Okayama University , Faculty of Economics, Tsushima, Okayama, 700, JAPAN |
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| Abstract: | In this paper the relationship between the improvement on the point estimation and the improvement on the interval estimation for the disturbance variance in a linear regression model is discussed It is shown that substituting the Stein-type estimatoi for the usual estimatoi in the confidence interval leads to the improvement on the interval estimation The equal-tailed and the shoitest unbiased intervals are dealt with Some appealing relationship is also found in the unbiased case. |
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| Keywords: | Coverage probability Disturbance variance Equal-tailed confidence interval Improvement Linear model Shortest unbiased confidence interval Stein-type estimator |
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